Core Attribution focuses on three primary sets of information:

• Domestic Equity Attribution
  This information provides users with an in-depth portfolio or aggregate analysis, including measuring the impact of portfolio structure on performance relative to benchmark. It includes detailed information on asset mix, portfolio characteristics, risk, impact of turnover and security level high/low sorts by performance, market value, market capitalization, dividend yield, beta and P/E ratio, as well as variance. Incremental return differences between the portfolio and the benchmarks are analyzed in terms of weighting to and selection within exposure factors.
  
  Factors for equity variance analysis include sector, industry, market cap, P/E ratio, beta, and dividend yield. The equity characteristics database contains over 20 characteristics, including dividend yield, P/E ratio, EPS growth, payout ratio, ROE, debt/equity and market capitalization. To support the domestic performance attribution reporting service, we maintain many popular indices down to the security level, including a number of indices offered by Russell, Standard & Poor’s, and Wilshire. Depending on service level agreements, we also have the ability to incorporate the holdings of externally held pooled domestic vehicles into this analysis.

• Domestic Fixed Income Attribution: This information provides users with an in-depth analysis of a portfolio or aggregate, and measures the impact of portfolio structure on performance relative to benchmark. Fixed income characteristics and attribution factors include maturity, duration, coupon and quality. Indices maintained to support fixed income attribution include many of the popular Citigroup and Lehman Indices, among others.

• Global Attribution: This information focuses on base and local returns relative to a benchmark and attributes the differences to four factors: country weighting, security selection, currency effect and hedging activity. Performance can be analyzed within each country, by sectors, industries and securities. We also offer a global equity and fixed income characteristics report that provides characteristic information on the portfolio relative to the benchmark broken out by country. This information is available on both an absolute basis, as well as on a normalized basis (z-score) across countries. To support the global attribution, we maintain a number of popular MSCI, FT Actuaries, J.P. Morgan and Salomon indices to the country level.